Dissertation: Essays on Testing Long-Run Abnormal Stock Returns

Uutisen oletuskuva
Although long-run event studies have seen many advances over the years, the proper methodology for measuring the stock price performance of firms for periods of one to five years following certain corporate events is much debated in the literature. While a large number of recent studies consider applying the buy-and-hold abnormal return (BHAR) approach and the calendar time portfolio (CTP) method for investigating long-term anomalies, each of the methods is a subject to criticisms. A fundamental choice for many recent studies, therefore, concerns the measure of long-run stock price performance.
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Anupam Dutta’s dissertation proposes a refined calendar time approach to moderate such pitfalls to some extent. The proposed calendar time portfolio approach, also known as standardized calendar time approach (SCTA), consists of two major components: standardization of event firms' abnormal returns and weighting the monthly portfolios. While standardizing diminishes the effect of event firms having volatile future returns, weighting allows monthly portfolios containing more event firms to receive more weight.

In order to investigate the robustness of the proposed approach, the results from BHAR methodology and other traditional CTP methods are also reported. The study utilizes the U.S., the U.K. and the leading Asia-Pacific security market data. Simulations show that SCTA documents better specification and power than the conventional long-run event study methodologies. However, the findings further conclude that in addition to the U.S. stock market, the event study methodologies considered perform well in Asia-Pacific and the U.K. security markets as well.

Public defence

The public examination of M.Sc. Anupam Dutta’s doctoral dissertation  “Essays on Testing Long-Run Abnormal Stock Returns”  will be on Friday 22 May at 12 o´clock in auditorium Kurtén (Tervahovi). Professor James Kolari (Texas A&M University) will act as opponent and Professor Seppo Pynnönen as a custos.

Orders and pdf

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